The Length of the Longest Head-Run in a Model with Long Range Dependence

In this paper, we construct stationary sequences of random variables { _i : i0} taking values ±1 with probability 1/2 and we prove an Erdös–Rényi law of large numbers for the length of the longest run of consecutive +1's in the sample {₀,..., _n }. Our model, which is called random walk in random scenery, exhibits long-range, positive dependence.     

Extreme Values in FGM Random Sequences

We consider the multivariate Farlie–Gumbel–Morgenstern class of distributions and discuss their properties with respect to the extreme values. This class was used to consider dependence in multivariate distributions and their ordering. We show that the extreme values of these distributions behave as if no dependence would exist between its components.